Modelování úrokových sazeb s využitím Lévyho procesů
In this work we study the HJM model of the term structure of interest rates driven by a Lévy process. We study the no-arbitrage dynamics of the discounted bond prices and obtain a risk-neutral dynamics of the short rate as a consequence. We study in particular the short rate process and formulate a...
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| Format: | Dissertation |
| Language: | English |
| Published: |
2010
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| Online Access: | http://www.nusl.cz/ntk/nusl-282500 |